Studies in Nonlinear Dynamics & Econometrics

1996 - 2009

Edited by Bruce Mizrach

from Berkeley Electronic Press
Series data maintained by Christopher F. Baum ().

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Volume 13, issue 3, 2009

Asymmetry in Stochastic Volatility Models: Threshold or Correlation? pp. 1540-1540

Daniel R. Smith

Mixed Exponential Power Asymmetric Conditional Heteroskedasticity pp. 1645-1645

Jeroen VK Rombouts and Mohammed Bouaddi

Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization pp. 1656-1656

Azzouz Dermoune, Boualem Djehiche and Nadji Rahmania

Inspecting the Poverty-Trap Mechanism: A Quantile Regression Approach pp. 1665-1665

Jens Krüger

Modeling Jump and Continuous Components in the Volatility of Oil Futures pp. 1671-1671

Tseng-Chan Tseng, Huimin Chung and Chin-Sheng Huang

Volume 13, issue 2, 2009

A Component GARCH Model with Time Varying Weights pp. 1512-1512

Luc Bauwens and Giuseppe Storti

Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation pp. 1592-1592

Emma M. Iglesias

Discovering Hidden Structures Using Mixture Models: Application to Nonlinear Time Series Processes pp. 1609-1609

Babak Shahbaba

Testing for Conditional Heteroscedasticity in the Components of Inflation pp. 1620-1620

Carmen Broto and Esther Ruiz

Nonlinearity between Inequality and Growth pp. 1635-1635

Shu-Chin Lin, Ho-Chuan Huang, Dong-Hyeon Kim and Chih-Chuan Yeh

The J2 Status of "Chaos" in Period Macroeconomic Models pp. 1674-1674

Peter Flaschel and Christian Roberto Proaño Acosta

Volume 13, issue 1, 2009

The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing pp. 1490-1490

John Driffill, Turalay Kenc, Martin Sola and Fabio Spagnolo

(Un)anticipated Technological Change in an Endogenous Growth Model pp. 1526-1526

Bruce Conway, Rina Rosenblatt-Wisch and Klaus Reiner Schenk-Hoppé

Multi-Market Direction-of-Change Modeling Using Dependence Ratios pp. 1532-1532

Stanislav Anatolyev

Modelling Good and Bad Volatility pp. 1595-1595

Matteo Maria Pelagatti

Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate pp. 1614-1614

Seungmoon Choi

Volume 12, issue 4, 2008

Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life pp. 1482-1482

Ming Chien Lo

The Dynamics of Mutual Funds and Market Timing Measurement pp. 1498-1498

Juan Matallin-Saez

Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components pp. 1562-1562

Juan J. Dolado, Jesus Gonzalo and Laura Mayoral

The Consumption-Wealth Ratio under Asymmetric Adjustment pp. 1565-1565

Vasco J. Gabriel, Fernando Alexandre and Pedro Bação

Happiness due to Consumption and its Increases, Wealth and Status pp. 1567-1567

Franz Wirl, Andreas Novak and Franz Hof

The Nonlinear Dynamics of Foreign Reserves and Currency Crises pp. 1605-1605

Terence Tai Leung Chong, Qing He and Melvin Hinich

Volume 12, issue 3, 2008

Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? pp. 1515-1515

Chang-Jin Kim and Yunmi Kim

Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths pp. 1519-1519

Brigitta Hultblad and Sune Karlsson

Threshold Adjustment of Deviations from the Law of One Price pp. 1520-1520

Luciana Juvenal and Mark P. Taylor

Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry pp. 1521-1521

Philip Rothman

Markov-Switching GARCH Modelling of Value-at-Risk pp. 1522-1522

Rasoul Sajjad, Jerry Coakley and John Nankervis

Optimal Test for Markov Switching GARCH Models pp. 1528-1528

Liang Hu and Yongcheol Shin

A Powerful Test for Linearity When the Order of Integration is Unknown pp. 1582-1582

David Harvey, Stephen Leybourne and Bin Xiao

Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? pp. 1639-1639

Clive W. J. Granger

Volume 12, issue 2, 2008

Unemployment and Economic Growth Cycles pp. 1559-1559

Maria Roa, Francisco Vazquez and Dulce Saura

Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps pp. 1571-1571

Wing Chan

Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market pp. 1572-1572

Wei Sun, Svetlozar Rachev, Stoyan Stoyanov and Frank Fabozzi

Option Valuation with Normal Mixture GARCH Models pp. 1580-1580

Alex Badescu, Reg Kulperger and Emese Lazar

On the Robustness of Symmetry Tests for Stock Returns pp. 1591-1591

Yi-Ting Chen and Chang-Ching Lin

A Video Interview with James Hamilton pp. 1644-1644

Bruce Mizrach

Volume 12, issue 1, 2008

Modelling Autoregressive Processes with a Shifting Mean pp. 1459-1459

Andrés González and Timo Teräsvirta

Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle pp. 1467-1467

Mohitosh Kejriwal

Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics pp. 1468-1468

Travis Dean Nesmith and Barry Edward Jones

Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem pp. 1469-1469

Dietmar Maringer and Mark Meyer

Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series pp. 1474-1474

Dimitris Kugiumtzis

Rank-based Entropy Tests for Serial Independence pp. 1476-1476

Cees Diks and Valentyn Panchenko

Volume 11, issue 4, 2007

The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change? pp. 1342-1342

Frédérique Bec and Alexia Bastien

Jump-and-Rest Effect of U.S. Business Cycles pp. 1480-1480

Maximo Camacho and Gabriel Perez Quiros

Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules pp. 1507-1507

Deepankar Basu and Robert de Jong

Movements in the Equity Premium: Evidence from a Time-Varying VAR pp. 1523-1523

Massimiliano De Santis

Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models pp. 1531-1531

Antonis Michis and Theofanis Sapatinas

Volume 11, issue 3, 2007

A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models pp. 1322-1322

Walter Enders, Barry Falk and Pierre Siklos

Detecting Multiple Changes in Persistence pp. 1370-1370

Stephen Leybourne, Tae-Hwan Kim and Robert Taylor

Complex Dynamics in the Neoclassical Growth Model with Differential Savings and Non-Constant Labor Force Growth pp. 1407-1407

Serena Brianzoni, Cristiana Mammana and Elisabetta Michetti

Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution pp. 1430-1430

Rehim Kiliç

Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation pp. 1432-1432

Roger Bowden and Jennifer Zhu

Wavelet Variance Analysis of Output in G-7 Countries pp. 1435-1435

Marco Gallegati and Mauro Gallegati

Volume 11, issue 2, 2007

Change-Points in U.S. Business Cycle Durations pp. 1373-1373

Troy Davig

The Dynamic Behaviour of an Endogenous Growth Model with Public Capital and Pollution pp. 1375-1375

Alfred Greiner

A Dynamic Semiparametric Proportional Hazard Model pp. 1377-1377

Frank Gerhard and Nikolaus Hautsch

A Class Test for Fractional Integration pp. 1382-1382

Melvin J. Hinich and Terence Tai Leung Chong

Equilibrium Efficiency in the Ramsey Model with Habit Formation pp. 1410-1410

Manuel Gómez

Volatility Components and Long Memory-Effects Revisited pp. 1411-1411

Markus Haas

Volume 11, issue 1, 2007

A Smooth Transition Autoregressive Conditional Duration Model pp. 1313-1313

Min-Hsien Chiang

Gains from Synchronization pp. 1323-1323

William Barnett and Mehmet Serhat Dalkır

Fractionally Integrated Long Horizon Regressions pp. 1337-1337

Jin Lee

Short-Run Patience and Wealth Inequality pp. 1351-1351

Lilia Maliar and Serguei Maliar

A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests pp. 1376-1376

Wei Liu and Alex S. Maynard

Time Series Models for Forecasting: Testing or Combining? pp. 1385-1385

Zhuo (Adam) Chen and Yuhong Yang

Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified pp. 1434-1434

Jun Ma, Charles Nelson and Richard Startz